SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Do co-jumps impact correlations in currency markets? · Study

ArticleShelves

ArticleDo co-jumps impact correlations in currency markets?

Jozef Baruník2017

OA

Articlegreen2017

Do co-jumps impact correlations in currency markets?

Jozef Baruník · Lukáš Vácha

21 citations·0/0 files stored·Journal of Financial Markets

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 21 citations exist upstream.

References

2003Modeling and Forecasting Realized Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2005A Tale of Two Time Scales 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

Cited by

2020Asymmetric interdependence between currency markets' volatilities across frequencies and time scales 2024Unearthing the hedge and safe-haven potential of green investment funds for energy commodities

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2019Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumpschapter · 19 shared references 2011Outlyingness Weighted Covariationarticle · 15 shared references 2015Jumps in High-Frequency Data: Spurious Detections, Dynamics, and Newsarticle · 14 shared references 2020Realized Semicovariancesarticle · 14 shared references 2014Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimationarticle · 14 shared references 2016Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous tradingarticle · 14 shared references

Details

Year2017

Typearticle

Published2017-11-23

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.finmar.2017.11.004

openalex_workW2952304022

Links

Imported from OpenAlex (CC0) — nothing here is generated.